| Metric | SPY | AEDFX |
|---|---|---|
| Risk-Free Proxy | French RF + recent BIL | French RF + recent BIL |
| Time in Market | 100.0% | 81.0% |
| Cumulative Return | 74.99% | 22.16% |
| CAGR﹪ | 11.91% | 4.11% |
| Sharpe | 0.52 | 0.06 |
| Prob. Sharpe Ratio | 87.6% | 55.42% |
| Smart Sharpe | 0.5 | 0.06 |
| Sortino | 0.74 | 0.08 |
| Smart Sortino | 0.72 | 0.08 |
| Sortino/√2 | 0.53 | 0.06 |
| Smart Sortino/√2 | 0.51 | 0.06 |
| Omega | 1.14 | 1.21 |
| Max Drawdown | -24.5% | -6.4% |
| Max DD Date | 2022-10-12 | 2022-06-16 |
| Max DD Period Start | 2022-01-04 | 2022-04-08 |
| Max DD Period End | 2023-12-12 | 2023-04-14 |
| Longest DD Days | 708 | 372 |
| Volatility (ann.) | 17.19% | 4.01% |
| R^2 | 0.35 | 0.35 |
| Information Ratio | -0.04 | -0.04 |
| Calmar | 0.49 | 0.64 |
| Skew | 0.33 | -0.4 |
| Kurtosis | 8.98 | 5.31 |
| Ulcer Performance Index | 8.86 | 16.59 |
| Risk-Adjusted Return | 11.91% | 5.07% |
| Risk-Return Ratio | 0.05 | 0.06 |
| Avg. Return | 0.05% | 0.02% |
| Avg. Win | 0.95% | 0.23% |
| Avg. Loss | -0.97% | -0.24% |
| Win/Loss Ratio | 0.97 | 0.97 |
| Profit Ratio | 0.86 | 0.38 |
| Expected Daily | 0.04% | 0.02% |
| Expected Monthly | 0.92% | 0.33% |
| Expected Yearly | 9.77% | 3.39% |
| Kelly Criterion | 5.74% | 9.04% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.73% | -0.4% |
| Expected Shortfall (cVaR) | -2.58% | -0.66% |
| Max Consecutive Wins | 10 | 8 |
| Max Consecutive Losses | 6 | 6 |
| Gain/Pain Ratio | 0.14 | 0.21 |
| Gain/Pain (1M) | 0.79 | 1.4 |
| Payoff Ratio | 0.97 | 0.97 |
| Profit Factor | 1.14 | 1.21 |
| Common Sense Ratio | 1.15 | 1.28 |
| CPC Index | 0.59 | 0.65 |
| Tail Ratio | 1.0 | 1.06 |
| Outlier Win Ratio | 3.4 | 4.68 |
| Outlier Loss Ratio | 3.8 | 3.21 |
| MTD | 1.47% | 0.53% |
| 3M | 1.46% | 1.36% |
| 6M | 6.94% | 4.36% |
| YTD | 13.33% | 6.02% |
| 1Y | 13.43% | 7.94% |
| 3Y (ann.) | 20.78% | 5.98% |
| 5Y (ann.) | 12.86% | 4.5% |
| 10Y (ann.) | 11.91% | 4.11% |
| All-time (ann.) | 11.91% | 4.11% |
| Best Day | 10.5% | 1.42% |
| Worst Day | -5.85% | -1.5% |
| Best Month | 10.51% | 2.51% |
| Worst Month | -9.24% | -2.55% |
| Best Year | 26.18% | 8.41% |
| Worst Year | -18.18% | -0.82% |
| Avg. Drawdown | -1.94% | -0.58% |
| Avg. Drawdown Days | 21 | 21 |
| Recovery Factor | 2.58 | 3.19 |
| Ulcer Index | 0.08 | 0.01 |
| Serenity Index | 0.43 | 1.16 |
| Avg. Up Month | 3.98% | 0.84% |
| Avg. Down Month | -4.73% | -0.76% |
| Win Days | 53.48% | 55.3% |
| Win Month | 62.3% | 70.49% |
| Win Quarter | 71.43% | 71.43% |
| Win Year | 83.33% | 66.67% |
| Beta | - | 0.14 |
| Alpha | - | 0.02 |
| Correlation | - | 59.39% |
| Treynor Ratio | - | 159.86% |
| Year | SPY | AEDFX | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 1.73 | -0.45 | -0.26 | - |
| 2022 | -18.18 | -0.82 | 0.04 | + |
| 2023 | 26.18 | 5.63 | 0.21 | - |
| 2024 | 24.89 | 1.91 | 0.08 | - |
| 2025 | 17.72 | 8.41 | 0.47 | - |
| 2026 | 13.33 | 6.02 | 0.45 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-04-08 | 2023-04-14 | -6.40 | 372 |
| 2023-04-20 | 2023-08-07 | -3.70 | 110 |
| 2021-11-08 | 2022-04-04 | -2.98 | 148 |
| 2024-11-08 | 2025-01-23 | -2.94 | 77 |
| 2025-04-03 | 2025-05-09 | -2.08 | 37 |
| 2024-04-04 | 2024-07-03 | -1.99 | 91 |
| 2026-04-20 | 2026-06-10 | -1.39 | 52 |
| 2024-08-19 | 2024-10-17 | -1.27 | 60 |
| 2026-03-03 | 2026-04-07 | -1.25 | 36 |
| 2023-10-17 | 2023-11-13 | -1.24 | 28 |